Motivated by the theory of demand-based option pricing in imperfect markets, we examine the relation between short-sale constraints and equity option returns, conditional on the level of mispricing in the underlying stock. We report a monotonic relation between various measures of short-sale constraints and delta-hedged returns of put options on overpriced stocks. This relation is robust to controls for firm attributes and limits to arbitrage proxies. Our findings suggest that while investors drive up the demand for these put options, dealers command a high premium as compensation for the increased market making risk. We do not find a robust relation for either put options on underpriced stocks or call options.

受不完全市场中基于需求的期权定价理论的推动，我们研究了空头约束与股票期权收益之间的关系，该条件取决于标的股票的错误定价水平。我们报告了各种空头限制条件与高价股票认沽期权的套期保值回报之间的单调关系。这种关系对于控制公司属性和套利代理限制具有鲁棒性。我们的发现表明，尽管投资者增加了对这些认沽期权的需求，但交易商却要求高额溢价作为对增加的做市风险的补偿。无论是低价股票的看跌期权还是看涨期权，我们都没有找到牢固的关系。